SEPARATE VERSUS SYSTEM METHODS OF STEIN-RULE ESTIMATION IN SEEMINGLY UNRELATED REGRESSION MODELS

DOI10.1081/STA-120015018MaRDI QIDQ4828901zbMATH OpenFDO

Authors Alan T. K. Wan, Virendra K. Srivastava

Publication date 26 November 2004

Published in Communications in Statistics: Theory and Methods (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1081/STA-120015018

zbMATH Keywords

BiasLarge sample asymptoticsMean squared errorMonte-Carlo simulationQuadratic lossRiskSeemingly unrelated regression

Mathematics Subject Classification ID

Admissibility in statistical decision theory (62C15) Estimation in multivariate analysis (62H12) Ridge regression; shrinkage estimators (Lasso) (62J07) Monte Carlo methods (65C05)

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Cites work

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Cited in

(7)

• Robustness of Stein-type estimators under a non-scalar error covariance structure
• Shrunken estimators of seemingly unrelated regression models
• A Stein-rule method for pooling data
• Estimation of a subset of regression coefficients of interest in a model with non-spherical disturbances
• Bootstrapping estimators for the seemingly unrelated regressions model
• Stein-like 2SLS estimator
• A note on the properties of Stein-rule and inequality restricted estimators when the regression model is over-fitted

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